Time-consistent mean-variance portfolio selection in discrete and continuous time

DOI10.1007/s00780-012-0189-9zbMath1263.91046arXiv1205.4748OpenAlexW2104405260MaRDI QIDQ1945040

Christoph Czichowsky

Publication date: 2 April 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4748

zbMATH Keywords

portfolio optimizationlocal risk minimizationtime consistencyMarkowitz problemconvergence of optimal trading strategiesFoelmer-Schweizer decompositionMean-variance criteriontime-incinsistent optimal control

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Portfolio theory (91G10)

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